changepoint - Change point detection for Rust
Changepoint is a library for doing change point detection for streams of data.
Algorithms
Includes the following change point detection algorithms:
Bocpd
-- Online Bayesian Change Point Detection Reference.BocpdTruncated
-- Same asBocpd
but truncated the run-length distribution when those lengths are unlikely.Argpcp
-- Gaussain Process Change Point detector Reference
Example
//! A demo of the online Bayesian change point detection on
//! the 3-month Treasury Bill Secondary Market Rate from
//!
//! After this example is run, the file `trasury_bill.ipynb` can be run to generate
//! plots for this dataset.
//!
//! > Board of Governors of the Federal Reserve System (US), 3-Month Treasury Bill: Secondary
//! > Market Rate [TB3MS], retrieved from FRED, Federal Reserve Bank of St. Louis;
//! > https://fred.stlouisfed.org/series/TB3MS, August 5, 2019.
use ;
use *;
use io;
use PathBuf;
use read_to_string;
To run this example, from the source root, run cargo run --example treasury_bill
.
The partner notebook can be used to generate the following plots: